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On optimal proportional reinsurance and investment in a Markovian regime-switching economy.
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- Acta Mathematica Sinica, 2012, v. 28, n. 1, p. 67, doi. 10.1007/s10114-012-9761-7
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- Article
A Higher-order interactive hidden Markov model and its applications.
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- OR Spectrum, 2017, v. 39, n. 4, p. 1055, doi. 10.1007/s00291-017-0484-0
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- Article
Optimal pairs trading with dynamic mean-variance objective.
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- Mathematical Methods of Operations Research, 2021, v. 94, n. 1, p. 145, doi. 10.1007/s00186-021-00751-z
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- Article
A Risk-Based Approach for Asset Allocation with A Defaultable Share.
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- Risks, 2018, v. 6, n. 1, p. 14, doi. 10.3390/risks6010014
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- Article
Bayesian nonlinear expectation for time series modelling and its application to Bitcoin.
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- Empirical Economics, 2023, v. 64, n. 1, p. 505, doi. 10.1007/s00181-022-02255-z
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- Article
An HMM approach for optimal investment of an insurer.
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- International Journal of Robust & Nonlinear Control, 2012, v. 22, n. 7, p. 778, doi. 10.1002/rnc.1727
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- Article
A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 4, p. -1, doi. 10.1142/S0219024915500235
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- Article
ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 8, p. -1, doi. 10.1142/S0219024912500550
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- Article
A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 5, p. 669, doi. 10.1142/S0219024911006401
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- Article
OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING.
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- International Journal of Theoretical & Applied Finance, 2006, v. 9, n. 6, p. 825, doi. 10.1142/S0219024906003846
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- Article
A martingale approach for asset allocation with derivative security and hidden economic risk.
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- Journal of Applied Probability, 2019, v. 56, n. 3, p. 723, doi. 10.1017/jpr.2019.40
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- Article
A hidden Markov regime-switching smooth transition model.
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- Studies in Nonlinear Dynamics & Econometrics, 2018, v. 22, n. 4, p. N.PAG, doi. 10.1515/snde-2016-0061
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- Article
A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach.
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- Journal of Time Series Analysis, 2017, v. 38, n. 2, p. 243, doi. 10.1111/jtsa.12206
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- Article
Robust reinsurance and investment strategies under principal–agent framework.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 981, doi. 10.1007/s10479-022-04696-2
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- Article
Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models.
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- Computational Economics, 2005, v. 26, n. 3/4, p. 69, doi. 10.1007/s10614-005-9010-6
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- Article
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting.
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- Finance & Stochastics, 2024, v. 28, n. 1, p. 161, doi. 10.1007/s00780-023-00510-4
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- Article
Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method.
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- Journal of Futures Markets, 2023, v. 43, n. 7, p. 925, doi. 10.1002/fut.22422
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- Article
Option Valuation Under a Double Regime-Switching Model.
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- Journal of Futures Markets, 2014, v. 34, n. 5, p. 451, doi. 10.1002/fut.21613
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- Article
A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment.
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- International Journal of Stochastic Analysis, 2015, v. 2015, p. 1, doi. 10.1155/2015/462524
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- Article
Pricing Participating Products under a Generalized Jump-Diffusion Model.
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- Journal of Applied Mathematics & Stochastic Analysis, 2008, p. 1, doi. 10.1155/2008/474623
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- Article
OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES.
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- Probability in the Engineering & Informational Sciences, 2016, v. 30, n. 2, p. 224, doi. 10.1017/S0269964815000352
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- Article
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion.
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- Journal of Derivatives, 2022, v. 29, n. 3, p. 106, doi. 10.3905/jod.2022.1.147
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- Article
Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching.
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- Computational Economics, 2019, v. 53, n. 2, p. 555, doi. 10.1007/s10614-017-9754-9
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- Article
On Optimal Pricing Model for Multiple Dealers in a Competitive Market.
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- Computational Economics, 2019, v. 53, n. 1, p. 397, doi. 10.1007/s10614-017-9749-6
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- Article
Malliavin calculus in a binomial framework.
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- Applied Stochastic Models in Business & Industry, 2018, v. 34, n. 6, p. 774, doi. 10.1002/asmb.2318
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- Article
Asset allocation under threshold autoregressive models.
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- Applied Stochastic Models in Business & Industry, 2012, v. 28, n. 1, p. 60, doi. 10.1002/asmb.897
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- Article
Two price economic equilibria and financial market bid/ask prices.
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- Annals of Finance, 2021, v. 17, n. 1, p. 27, doi. 10.1007/s10436-020-00377-x
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- Article
HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS.
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- International Journal of Theoretical & Applied Finance, 2019, v. 22, n. 8, p. N.PAG, doi. 10.1142/S021902491950047X
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- Article